There were sex jokes, wife jokes — even trans jokes. “It’s really unusual to see this kind of comedy here in Saudi Arabia,” said Sara, an ex-pat still reeling from watching Dave Chappelle and Bill Burr light up the stage at the first-ever Riyadh Comedy Festival. “The response was amazing,” she said. “I’ve never seen such enthusiasm.” For a country where public dancing was once banned and women driving made headlines, the sight of thousands roaring with laughter at punchlines about marriage, sex and gender felt nothing short of revolutionary. But outside the kingdom? The laughter has a much sharper edge. Big-name comedians like Jimmy Carr, Jack Whitehall, Kevin Hart, Russell Peters and Omid Djalili have come under fire from...